Bank of Montreal (BMO)
BMO suffers C$10bn capital floor bite
Charges to constraint-modelled RWAs rose sixfold during Q3
BMO takes C$983m loss on Bank of the West merger hedges
Temporary inversion of yield curve hit swaps safeguarding target’s fair value
Foreign banks outperform US peers on DFAST
Intermediate holding companies reported higher post-stress capital and leverage ratios under the Fed’s severely adverse scenario
Interest rate swaps help BMO keep M&A deal on track
Hedges to safeguard the Bank of the West acquisition have already yielded $2.7bn in mark-to-market gains
BMO sees $6.3bn RWA increase from capital floor add-on
The bank is the first of Canada’s big five to be bound by the floor as implemented in 2018
RBC lifts CET1 ratio by 80bp with model parameter update
Reclassification of small business clients carves out C$26 billion of credit risk
End of SVAR relief hikes market risk at Canada’s ‘Big Five’
Market RWAs increased by C$13.9 billion over the three months to end-July
Competition may be coming to crypto ETP market-making
Flow Traders makes markets in every European cryptocurrency ETP. Banks want in on the action
Foreign banks perform better in 2021 Fed stress tests
Intermediate holding companies reported higher post-stress capital and leverage ratios than their US peers did
At TD and RBC, higher deposits weigh on LCR
Higher net cash outflows in Q2 keep liquidity coverage pressures up
Canada’s top banks cut loan-loss provisions by $1.2bn
The decrease in set-asides represents a 92% fall quarter on quarter
US unit of BBVA on the brink of a VAR breach in Q1
Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies
At Canada’s ‘Big Five’, counterparty and op RWAs grew in 2020
Credit, market RWAs ebbed over the year
‘Big Five’ Canadian banks’ provisions doubled in pandemic year
However, over three months to end-January, set-asides dropped dramatically
CVA charges for Canadian dealers edge off Covid highs
At CIBC, CVA charges fell 12% quarter on quarter
Canada’s ‘Big Five’ see loan-loss provisions halve in Q4
BMO alone recorded a 59% quarter-on-quarter reduction
‘Big Five’ Canadian banks post C$6.6bn of loan-losses in Q3
PCLs fell 36% quarter-on-quarter
BMO, Scotia crush CVA charges
CVA capital requirement fell 48% at BMO last quarter
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
‘Big Five’ Canadian banks’ loan-loss charges quadruple
Reserves for performing loans increase 32-fold quarter-on-quarter
Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
Big Canadian banks face C$1bn capital hike on securitisation changes
RBC faces C$551 million uplift alone
BMO braces for SA-CCR, revised securitisation charges
Bank expects C$100m equity hit through introduction of IFRS 16
Among Canadian banks, credit provisions leap highest at BMO
Aggregate provisions for credit losses up 0.7% quarter-on-quarter at “Big Five”